Penny Marshall -- DUPED Out of $5,000 by Lamar Odom's 'Assistant'

Sources tell TMZ the double-cross started at a Lakers game last month ... when a man claiming to be LO's assistant gave Penny a phone number he said was Lamar's.

We're told Penny and the person she thought was Lamar texted back and forth for several days -- when finally "Lamar" asked her to loan his assistant a chunk o' cash. Ever the faithful Lakers fan, Penny forked over more than five grand to the faux "assistant."

Hook. Line. Sinker.

After that, we're told "Lamar" suddenly stopped texting, Penny got suspicious, and contacted the real Lamar ... who told her he doesn't even have an assistant.

Penny has filed a police report with the LAPD, and we're told they've opened a grand theft investigation. Penny's rep had no comment.